----------------------------------------
Evaluation of Trend-Following Strategies
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Prices up to the close on 2024-05-22.

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LME Aluminium
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Best AHD strategy over the last 5 years: exponential 7 59
Annualized return: 	15.9%
Annualized volatility: 	15.9%
Sharpe Ratio: 		 1.0
Trades/Year: 		6
Long for the last 51 days.
Switches to short after 10 days if price changes by -1.0% per day.
Switches to short after 9 days if price changes by -1.25% per day.
Switches to short after 8 days if price changes by -1.75% per day.
Switches to short after 7 days if price changes by -2.0% per day.
Chart:

Best AHD strategy over the last 4 years: exponential 7 59

Best AHD strategy over the last 3 years: simple 1 4
Annualized return: 	25.7%
Annualized volatility: 	21.4%
Sharpe Ratio: 		 1.2
Trades/Year: 		71
Short for the last 1 day.
Switches to long after 2 days if price changes by +1.5% per day.
Switches to long after 3 days if price changes by +0.25% per day.
Switches to flat after 3 days if price changes by 0% per day.
Chart:

Best AHD strategy over the last 2 years: simple 15 234
Annualized return: 	14.4%
Annualized volatility: 	13.1%
Sharpe Ratio: 		 1.1
Trades/Year: 		1
Long for the last 38 days.
Chart:

Best AHD strategy over the last 1 year: simple 82 91
Annualized return: 	22.7%
Annualized volatility: 	15.5%
Sharpe Ratio: 		 1.5
Trades/Year: 		9
Long for the last 14 days.
Chart:

Sharpe ratios:

	exponential 7 59	simple 1 4	simple 15 234	simple 82 91
Last 5 years	0.997993	0.876308	0.936116	0.126666
Last 4 years	1.196293	0.898026	0.852120	0.089461
Last 3 years	1.064538	1.198399	0.858406	-0.076003
Last 2 years	0.848062	0.719825	1.103373	0.698811
Last 1 year	0.530594	-0.428234	0.680994	1.459081

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LME Copper
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Best CAD strategy over the last 5 years: simple 32 112
Annualized return: 	20.4%
Annualized volatility: 	19.3%
Sharpe Ratio: 		 1.1
Trades/Year: 		2
Long for the last 113 days.
Chart:

Best CAD strategy over the last 4 years: simple 32 112

Best CAD strategy over the last 3 years: simple 14 19
Annualized return: 	12.7%
Annualized volatility: 	17.4%
Sharpe Ratio: 		 0.7
Trades/Year: 		23
Long for the last 61 days.
Switches to short after 10 days if price changes by -1.5% per day.
Switches to short after 9 days if price changes by -2.0% per day.
Chart:

Best CAD strategy over the last 2 years: simple 28 39
Annualized return: 	26.7%
Annualized volatility: 	16.8%
Sharpe Ratio: 		 1.6
Trades/Year: 		9
Long for the last 48 days.
Chart:

Best CAD strategy over the last 1 year: simple 1 2
Annualized return: 	924.2%
Annualized volatility: 	202.9%
Sharpe Ratio: 		 4.6
Trades/Year: 		137
Short for the last 2 days.
Switches to flat after 1 day if price changes by -2.0% per day.
Chart:

Sharpe ratios:

	simple 32 112	simple 14 19	simple 28 39	simple 1 2
Last 5 years	1.055722	0.721410	0.699521	0.033561
Last 4 years	1.166685	0.887977	0.887788	0.047257
Last 3 years	0.607685	0.730467	0.324678	0.014668
Last 2 years	1.383733	0.797612	1.596314	0.024931
Last 1 year	0.890967	0.359911	1.264157	4.555963

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LME Lead
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Best PBD strategy over the last 5 years: exponential 1 2
Annualized return: 	12.5%
Annualized volatility: 	16.5%
Sharpe Ratio: 		 0.8
Trades/Year: 		90
Short for the last 1 day.
Switches to long after 2 days if price changes by +0.25% per day.
Chart:

Best PBD strategy over the last 4 years: exponential 1 2

Best PBD strategy over the last 3 years: exponential 1 2

Best PBD strategy over the last 2 years: simple 59 73
Annualized return: 	31.2%
Annualized volatility: 	22.0%
Sharpe Ratio: 		 1.4
Trades/Year: 		8
Long for the last 11 days.
Chart:

Best PBD strategy over the last 1 year: simple 59 66
Annualized return: 	60.9%
Annualized volatility: 	17.7%
Sharpe Ratio: 		 3.4
Trades/Year: 		12
Long for the last 14 days.
Chart:

Sharpe ratios:

	exponential 1 2	simple 59 73	simple 59 66
Last 5 years	0.756725	0.165881	0.025002
Last 4 years	0.995156	0.182414	0.081871
Last 3 years	1.130248	0.480789	0.361442
Last 2 years	0.925445	1.416946	1.247120
Last 1 year	0.763309	2.430198	3.442599

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LME Nickel
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Best NID strategy over the last 5 years: simple 35 48
Annualized return: 	29.6%
Annualized volatility: 	28.7%
Sharpe Ratio: 		 1.0
Trades/Year: 		6
Long for the last 12 days.
Chart:

Best NID strategy over the last 4 years: simple 35 43
Annualized return: 	29.7%
Annualized volatility: 	33.5%
Sharpe Ratio: 		 0.9
Trades/Year: 		9
Long for the last 11 days.
Chart:

Best NID strategy over the last 3 years: simple 35 43

Best NID strategy over the last 2 years: simple 60 82
Annualized return: 	41.7%
Annualized volatility: 	26.3%
Sharpe Ratio: 		 1.6
Trades/Year: 		2
Long for the last 44 days.
Chart:

Best NID strategy over the last 1 year: simple 32 39
Annualized return: 	26.4%
Annualized volatility: 	13.4%
Sharpe Ratio: 		 2.0
Trades/Year: 		8
Long for the last 14 days.
Chart:

Sharpe ratios:

	simple 35 48	simple 35 43	simple 60 82	simple 32 39
Last 5 years	1.031609	1.030630	0.541752	0.636253
Last 4 years	0.790213	0.886610	0.713002	0.524138
Last 3 years	0.838354	1.040071	0.803031	0.588542
Last 2 years	0.978510	1.430873	1.587239	0.030069
Last 1 year	1.432784	1.368370	1.385706	1.975296

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LME Tin
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Best SND strategy over the last 5 years: simple 26 54
Annualized return: 	32.4%
Annualized volatility: 	15.3%
Sharpe Ratio: 		 2.1
Trades/Year: 		3
Long for the last 101 days.
Chart:

Best SND strategy over the last 4 years: simple 28 59
Annualized return: 	40.6%
Annualized volatility: 	15.4%
Sharpe Ratio: 		 2.6
Trades/Year: 		3
Long for the last 99 days.
Chart:

Best SND strategy over the last 3 years: simple 28 59

Best SND strategy over the last 2 years: exponential 2 4
Annualized return: 	41.1%
Annualized volatility: 	18.3%
Sharpe Ratio: 		 2.2
Trades/Year: 		44
Short for the last 1 day.
Switches to long after 2 days if price changes by +1.0% per day.
Switches to long after 3 days if price changes by +0.5% per day.
Switches to long after 4 days if price changes by +0.25% per day.
Chart:

Best SND strategy over the last 1 year: simple 3 6
Annualized return: 	77.0%
Annualized volatility: 	29.5%
Sharpe Ratio: 		 2.6
Trades/Year: 		40
Long for the last 13 days.
Switches to short after 1 day if price changes by -2.0% per day.
Chart:

Sharpe ratios:

	simple 26 54	simple 28 59	exponential 2 4	simple 3 6
Last 5 years	2.117957	2.075193	1.171412	0.431476
Last 4 years	2.441261	2.639116	1.400520	0.469039
Last 3 years	1.857912	2.042439	1.271265	0.387729
Last 2 years	1.142205	0.959139	2.246257	0.541183
Last 1 year	1.186805	1.386937	1.684045	2.611430

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LME Zinc
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Best ZSD strategy over the last 5 years: simple 32 91
Annualized return: 	16.0%
Annualized volatility: 	17.5%
Sharpe Ratio: 		 0.9
Trades/Year: 		3
Long for the last 32 days.
Chart:

Best ZSD strategy over the last 4 years: simple 26 101
Annualized return: 	24.1%
Annualized volatility: 	19.3%
Sharpe Ratio: 		 1.2
Trades/Year: 		2
Long for the last 34 days.
Chart:

Best ZSD strategy over the last 3 years: simple 3 6
Annualized return: 	32.6%
Annualized volatility: 	23.7%
Sharpe Ratio: 		 1.4
Trades/Year: 		42
Long for the last 8 days.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:

Best ZSD strategy over the last 2 years: simple 2 7
Annualized return: 	64.0%
Annualized volatility: 	23.8%
Sharpe Ratio: 		 2.7
Trades/Year: 		35
Long for the last 9 days.
Switches to short after 3 days if price changes by +0.25% per day.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:

Best ZSD strategy over the last 1 year: simple 39 43
Annualized return: 	38.4%
Annualized volatility: 	18.0%
Sharpe Ratio: 		 2.1
Trades/Year: 		13
Long for the last 37 days.
Chart:

Sharpe ratios:

	simple 32 91	simple 26 101	simple 3 6	simple 2 7	simple 39 43
Last 5 years	0.913446	0.810166	0.510217	0.226306	0.209191
Last 4 years	1.067739	1.248768	0.787729	0.326980	0.288895
Last 3 years	0.754901	0.996296	1.377838	0.772204	0.531017
Last 2 years	0.563719	0.971048	2.008243	2.687537	0.634721
Last 1 year	-0.550368	-0.219485	0.219310	0.748210	2.140686

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COMEX Gold
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Best GC strategy over the last 5 years: simple 3 4
Annualized return: 	16.2%
Annualized volatility: 	16.6%
Sharpe Ratio: 		 1.0
Trades/Year: 		75
Long for the last 5 days.
Switches to short after 1 day if price changes by -2.0% per day.
Chart:

Best GC strategy over the last 4 years: simple 3 4

Best GC strategy over the last 3 years: simple 82 91
Annualized return: 	22.5%
Annualized volatility: 	16.6%
Sharpe Ratio: 		 1.4
Trades/Year: 		5
Long for the last 119 days.
Chart:

Best GC strategy over the last 2 years: simple 4 8
Annualized return: 	85.2%
Annualized volatility: 	38.3%
Sharpe Ratio: 		 2.2
Trades/Year: 		30
Long for the last 11 days.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:

Best GC strategy over the last 1 year: simple 5 8
Annualized return: 	128.3%
Annualized volatility: 	31.4%
Sharpe Ratio: 		 4.1
Trades/Year: 		27
Long for the last 10 days.
Switches to short after 4 days if price changes by +1.25% per day.
Switches to short after 3 days if price changes by -2.0% per day.
Chart:

Sharpe ratios:

	simple 3 4	simple 82 91	simple 4 8	simple 5 8
Last 5 years	0.974599	0.545992	0.046256	0.013155
Last 4 years	1.000496	0.804406	0.326237	0.141243
Last 3 years	1.180300	1.356561	1.155523	0.606724
Last 2 years	1.449347	0.948795	2.222065	2.014086
Last 1 year	3.009863	1.582715	3.441150	4.089885

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COMEX Silver
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Best SI strategy over the last 5 years: simple 2 14
Annualized return: 	21.1%
Annualized volatility: 	29.9%
Sharpe Ratio: 		 0.7
Trades/Year: 		25
Long for the last 12 days.
Switches to short after 10 days if price changes by -0.75% per day.
Switches to short after 9 days if price changes by -1.0% per day.
Switches to short after 8 days if price changes by -1.25% per day.
Switches to short after 7 days if price changes by -2.0% per day.
Chart:

Best SI strategy over the last 4 years: simple 3 4
Annualized return: 	25.8%
Annualized volatility: 	37.1%
Sharpe Ratio: 		 0.7
Trades/Year: 		81
Long for the last 1 day.
Switches to flat after 3 days if price changes by 0% per day.
Switches to short after 3 days if price changes by -2.0% per day.
Chart:

Best SI strategy over the last 3 years: simple 125 190
Annualized return: 	73.0%
Annualized volatility: 	54.6%
Sharpe Ratio: 		 1.3
Trades/Year: 		3
Long for the last 30 days.
Chart:

Best SI strategy over the last 2 years: simple 1 10
Annualized return: 	68.3%
Annualized volatility: 	37.3%
Sharpe Ratio: 		 1.8
Trades/Year: 		39
Long for the last 1 day.
Switches to flat after 9 days if price changes by 0% per day.
Switches to short after 9 days if price changes by -0.25% per day.
Switches to short after 8 days if price changes by -0.5% per day.
Switches to short after 7 days if price changes by -1.0% per day.
Switches to short after 6 days if price changes by -1.75% per day.
Switches to short after 5 days if price changes by -2.0% per day.
Chart:

Best SI strategy over the last 1 year: simple 21 112
Annualized return: 	16262.0%
Annualized volatility: 	1454.6%
Sharpe Ratio: 		 11.2
Trades/Year: 		6
Long for the last 49 days.
Chart:

Sharpe ratios:

	simple 2 14	simple 3 4	simple 125 190	simple 1 10	simple 21 112
Last 5 years	0.704520	0.516069	-0.083686	0.211017	-0.151007
Last 4 years	0.663102	0.696552	-0.074739	0.175996	-0.134857
Last 3 years	0.412813	1.035090	1.337167	1.044872	-0.117337
Last 2 years	0.501496	0.703977	0.965944	1.832543	-0.096282
Last 1 year	0.387452	0.949913	0.397400	1.633594	11.179397

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NYMEX Platinum
--------------

Best PA strategy over the last 5 years: simple 15 17
Annualized return: 	11.2%
Annualized volatility: 	20.2%
Sharpe Ratio: 		 0.6
Trades/Year: 		30
Long for the last 9 days.
Switches to short after 10 days if price changes by -1.25% per day.
Switches to short after 9 days if price changes by -2.0% per day.
Chart:

Best PA strategy over the last 4 years: simple 18 28
Annualized return: 	13.1%
Annualized volatility: 	23.7%
Sharpe Ratio: 		 0.6
Trades/Year: 		11
Long for the last 5 days.
Chart:

Best PA strategy over the last 3 years: simple 8 9
Annualized return: 	37.0%
Annualized volatility: 	44.8%
Sharpe Ratio: 		 0.8
Trades/Year: 		44
Long for the last 15 days.
Switches to short after 3 days if price changes by -2.0% per day.
Chart:

Best PA strategy over the last 2 years: simple 3 5
Annualized return: 	340.3%
Annualized volatility: 	137.3%
Sharpe Ratio: 		 2.5
Trades/Year: 		49
Short for the last 1 day.
Switches to long after 3 days if price changes by +0.75% per day.
Switches to long after 4 days if price changes by +0.25% per day.
Switches to flat after 4 days if price changes by 0% per day.
Chart:

Best PA strategy over the last 1 year: simple 59 66
Annualized return: 	1324.5%
Annualized volatility: 	111.0%
Sharpe Ratio: 		 11.9
Trades/Year: 		14
Long for the last 17 days.
Chart:

Sharpe ratios:

	simple 15 17	simple 18 28	simple 8 9	simple 3 5	simple 59 66
Last 5 years	0.554739	0.407256	-0.460109	0.018897	-0.008051
Last 4 years	0.240559	0.552628	-0.412441	-0.035915	-0.007188
Last 3 years	-0.165494	0.309313	0.825131	0.017710	-0.006248
Last 2 years	-0.452074	-0.119595	-0.049276	2.477980	-0.005394
Last 1 year	-1.933450	-1.179121	0.674459	5.114653	11.927388

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NYMEX Palladium
---------------

Best PL strategy over the last 5 years: simple 2 4
Annualized return: 	36.5%
Annualized volatility: 	33.5%
Sharpe Ratio: 		 1.1
Trades/Year: 		73
Short for the last 1 day.
Switches to long after 3 days if price changes by +0.25% per day.
Switches to flat after 3 days if price changes by 0% per day.
Chart:

Best PL strategy over the last 4 years: simple 2 4

Best PL strategy over the last 3 years: exponential 7 39
Annualized return: 	82.3%
Annualized volatility: 	73.3%
Sharpe Ratio: 		 1.1
Trades/Year: 		12
Long for the last 3 days.
Switches to short after 6 days if price changes by -0.25% per day.
Switches to short after 5 days if price changes by -0.5% per day.
Switches to short after 4 days if price changes by -1.0% per day.
Switches to short after 3 days if price changes by -2.0% per day.
Chart:

Best PL strategy over the last 2 years: simple 12 17
Annualized return: 	135.5%
Annualized volatility: 	59.6%
Sharpe Ratio: 		 2.3
Trades/Year: 		23
Long for the last 4 days.
Switches to short after 10 days if price changes by -0.5% per day.
Switches to short after 9 days if price changes by -1.0% per day.
Switches to short after 8 days if price changes by -1.5% per day.
Switches to short after 7 days if price changes by -2.0% per day.
Chart:

Best PL strategy over the last 1 year: simple 15 59
Annualized return: 	59010.4%
Annualized volatility: 	6007.8%
Sharpe Ratio: 		 9.8
Trades/Year: 		5
Short for the last 15 days.
Switches to long after 6 days if price changes by +1.5% per day.
Switches to long after 7 days if price changes by +0.75% per day.
Switches to long after 8 days if price changes by +0.5% per day.
Switches to long after 9 days if price changes by +0.25% per day.
Chart:

Sharpe ratios:

	simple 2 4	exponential 7 39	simple 12 17	simple 15 59
Last 5 years	1.088650	-0.502809	-0.007040	-0.023920
Last 4 years	0.808477	-0.458116	-0.006285	-0.021420
Last 3 years	0.994878	1.122876	-0.005463	-0.003628
Last 2 years	0.149266	1.284836	2.272870	0.006681
Last 1 year	-0.127816	0.313070	2.097212	9.822236

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LME Steel Scrap
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Best SCD strategy over the last 5 years: simple 4 9
Annualized return: 	24.7%
Annualized volatility: 	12.6%
Sharpe Ratio: 		 2.0
Trades/Year: 		27
Long for the last 7 days.
Switches to flat after 8 days if price changes by 0% per day.
Switches to short after 4 days if price changes by -0.5% per day.
Switches to short after 3 days if price changes by -1.0% per day.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:

Best SCD strategy over the last 4 years: simple 4 9

Best SCD strategy over the last 3 years: simple 21 23
Annualized return: 	33.1%
Annualized volatility: 	21.9%
Sharpe Ratio: 		 1.5
Trades/Year: 		18
Short for the last 3 days.
Switches to long after 6 days if price changes by +0.5% per day.
Switches to long after 7 days if price changes by -0.25% per day.
Chart:

Best SCD strategy over the last 2 years: simple 138 211
Annualized return: 	210.7%
Annualized volatility: 	68.2%
Sharpe Ratio: 		 3.1
Trades/Year: 		2
Long for the last 75 days.
Switches to short after 10 days if price changes by -2.0% per day.
Chart:

Best SCD strategy over the last 1 year: exponential 190 234
Annualized return: 	138.4%
Annualized volatility: 	81.5%
Sharpe Ratio: 		 1.7
Trades/Year: 		1
Short for the last 244 days.
Chart:

Sharpe ratios:

	simple 4 9	simple 21 23	simple 138 211	exponential 190 234
Last 5 years	1.954508	0.841048	-0.154831	-0.354912
Last 4 years	1.813885	0.774794	-0.138288	-0.448401
Last 3 years	1.279974	1.508541	-0.120027	-0.516586
Last 2 years	0.840208	0.906168	3.090216	-0.585968
Last 1 year	0.183508	-0.995896	0.090992	1.697213

---------------
LME Steel Rebar
---------------

Best SRD strategy over the last 5 years: simple 5 8
Annualized return: 	21.6%
Annualized volatility: 	13.6%
Sharpe Ratio: 		 1.6
Trades/Year: 		34
Short for the last 1 day.
Switches to long after 3 days if price changes by +2.0% per day.
Switches to long after 4 days if price changes by +1.25% per day.
Switches to long after 5 days if price changes by +0.5% per day.
Switches to long after 6 days if price changes by +0.25% per day.
Switches to flat after 7 days if price changes by 0% per day.
Chart:

Best SRD strategy over the last 4 years: simple 6 7
Annualized return: 	35.8%
Annualized volatility: 	19.0%
Sharpe Ratio: 		 1.9
Trades/Year: 		54
Short for the last 2 days.
Switches to long after 1 day if price changes by -2.0% per day.
Chart:

Best SRD strategy over the last 3 years: simple 23 26
Annualized return: 	29.0%
Annualized volatility: 	15.7%
Sharpe Ratio: 		 1.8
Trades/Year: 		18
Short for the last 2 days.
Switches to long after 7 days if price changes by +1.75% per day.
Switches to long after 8 days if price changes by +1.0% per day.
Switches to long after 9 days if price changes by +0.75% per day.
Switches to long after 10 days if price changes by +0.5% per day.
Chart:

Best SRD strategy over the last 2 years: simple 3 5
Annualized return: 	100.6%
Annualized volatility: 	53.9%
Sharpe Ratio: 		 1.9
Trades/Year: 		56
Short for the last 1 day.
Switches to long after 3 days if price changes by +0.75% per day.
Switches to long after 4 days if price changes by +0.25% per day.
Switches to flat after 4 days if price changes by 0% per day.
Chart:

Best SRD strategy over the last 1 year: simple 190 211
Annualized return: 	474.3%
Annualized volatility: 	284.6%
Sharpe Ratio: 		 1.7
Trades/Year: 		3
Short for the last 193 days.
Chart:

Sharpe ratios:

	simple 5 8	simple 6 7	simple 23 26	simple 3 5	simple 190 211
Last 5 years	1.584139	0.926545	1.429271	0.004047	-0.212431
Last 4 years	1.494890	1.884691	1.723698	0.000224	-0.243549
Last 3 years	1.061073	0.884388	1.845593	0.019029	-0.257333
Last 2 years	1.601396	1.692883	1.671385	1.866845	-0.200744
Last 1 year	-0.315824	0.152973	1.041368	0.200346	1.666362

-------------------
LME Steel HRC China
-------------------

Best HCD strategy over the last 5 years: exponential 1 3
Annualized return: 	27.3%
Annualized volatility: 	13.2%
Sharpe Ratio: 		 2.1
Trades/Year: 		67
Long for the last 2 days.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:

Best HCD strategy over the last 4 years: simple 2 4
Annualized return: 	55.1%
Annualized volatility: 	21.0%
Sharpe Ratio: 		 2.6
Trades/Year: 		61
Long for the last 4 days.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:

Best HCD strategy over the last 3 years: simple 8 10
Annualized return: 	28.9%
Annualized volatility: 	20.3%
Sharpe Ratio: 		 1.4
Trades/Year: 		34
Short for the last 12 days.
Switches to long after 2 days if price changes by -2.0% per day.
Chart:

Best HCD strategy over the last 2 years: simple 6 39
Annualized return: 	41.9%
Annualized volatility: 	21.2%
Sharpe Ratio: 		 2.0
Trades/Year: 		8
Short for the last 7 days.
Switches to long after 1 day if price changes by -2.0% per day.
Chart:

Best HCD strategy over the last 1 year: simple 154 190
Annualized return: 	11.1%
Annualized volatility: 	6.6%
Sharpe Ratio: 		 1.7
Trades/Year: 		2
Short for the last 215 days.
Chart:

Sharpe ratios:

	exponential 1 3	simple 2 4	simple 8 10	simple 6 39	simple 154 190
Last 5 years	2.066551	1.801211	1.666410	0.547845	1.400056
Last 4 years	2.164332	2.626608	2.004121	0.619603	1.523221
Last 3 years	0.961372	0.853805	1.419055	1.057201	0.588032
Last 2 years	0.441262	0.969727	1.835237	1.976700	1.935567
Last 1 year	-1.784094	0.665464	1.125154	0.317519	1.685536

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SGX Iron Ore 62%
----------------

Best FEF strategy over the last 5 years: simple 1 6
Annualized return: 	43.9%
Annualized volatility: 	19.4%
Sharpe Ratio: 		 2.3
Trades/Year: 		51
Long for the last 5 days.
Switches to flat after 5 days if price changes by 0% per day.
Switches to short after 3 days if price changes by -0.75% per day.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:

Best FEF strategy over the last 4 years: simple 1 6

Best FEF strategy over the last 3 years: simple 6 43
Annualized return: 	49.8%
Annualized volatility: 	27.1%
Sharpe Ratio: 		 1.8
Trades/Year: 		5
Long for the last 27 days.
Switches to short after 10 days if price changes by -0.5% per day.
Switches to short after 8 days if price changes by -1.0% per day.
Switches to short after 7 days if price changes by -1.5% per day.
Switches to short after 6 days if price changes by -2.0% per day.
Chart:

Best FEF strategy over the last 2 years: simple 2 3
Annualized return: 	26.2%
Annualized volatility: 	11.4%
Sharpe Ratio: 		 2.3
Trades/Year: 		89
Long for the last 5 days.
Switches to flat after 2 days if price changes by 0% per day.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:

Best FEF strategy over the last 1 year: exponential 101 190
Annualized return: 	934.7%
Annualized volatility: 	143.2%
Sharpe Ratio: 		 6.5
Trades/Year: 		0
Long for the last 340 days.
Chart:

Sharpe ratios:

	simple 1 6	simple 6 43	simple 2 3	exponential 101 190
Last 5 years	2.257877	0.730808	1.607477	-0.098432
Last 4 years	2.557131	1.886811	1.586694	-0.063041
Last 3 years	1.690073	1.836705	1.309704	-0.267247
Last 2 years	1.162469	0.860032	2.294529	0.031547
Last 1 year	1.042477	0.779347	1.460113	6.527632

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SGX Iron Ore Lump Premium
-------------------------

Best LPF strategy over the last 5 years: exponential 1 6
Annualized return: 	57.4%
Annualized volatility: 	21.3%
Sharpe Ratio: 		 2.7
Trades/Year: 		25
Long for the last 28 days.
Switches to short after 4 days if price changes by -0.25% per day.
Switches to short after 3 days if price changes by -0.75% per day.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:

Best LPF strategy over the last 4 years: exponential 1 2
Annualized return: 	56.4%
Annualized volatility: 	15.2%
Sharpe Ratio: 		 3.7
Trades/Year: 		39
Long for the last 30 days.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:

Best LPF strategy over the last 3 years: exponential 1 2

Best LPF strategy over the last 2 years: simple 60 211
Annualized return: 	605.2%
Annualized volatility: 	127.7%
Sharpe Ratio: 		 4.7
Trades/Year: 		2
Short for the last 51 days.
Chart:

Best LPF strategy over the last 1 year: exponential 1 4
Annualized return: 	13.4%
Annualized volatility: 	3.0%
Sharpe Ratio: 		 4.4
Trades/Year: 		24
Long for the last 30 days.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:

Sharpe ratios:

	exponential 1 6	exponential 1 2	simple 60 211	exponential 1 4
Last 5 years	2.688463	2.155955	-0.196439	1.833984
Last 4 years	3.343308	3.709576	-0.175977	3.102055
Last 3 years	3.294345	3.575205	-0.153932	3.044558
Last 2 years	2.909589	4.602232	4.739080	3.301814
Last 1 year	3.580820	4.224830	0.840439	4.443960

----------------
SGX Iron Ore 65%
----------------

Best M65F strategy over the last 5 years: simple 1 7
Annualized return: 	45.5%
Annualized volatility: 	20.7%
Sharpe Ratio: 		 2.2
Trades/Year: 		47
Long for the last 5 days.
Switches to flat after 6 days if price changes by 0% per day.
Switches to short after 4 days if price changes by -0.25% per day.
Switches to short after 3 days if price changes by -1.0% per day.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:

Best M65F strategy over the last 4 years: simple 1 7

Best M65F strategy over the last 3 years: simple 1 7

Best M65F strategy over the last 2 years: simple 2 3
Annualized return: 	27.7%
Annualized volatility: 	11.6%
Sharpe Ratio: 		 2.4
Trades/Year: 		89
Long for the last 5 days.
Switches to flat after 2 days if price changes by 0% per day.
Switches to short after 2 days if price changes by -2.0% per day.
Chart:

Best M65F strategy over the last 1 year: simple 91 234
Annualized return: 	4006.5%
Annualized volatility: 	609.3%
Sharpe Ratio: 		 6.6
Trades/Year: 		2
Long for the last 188 days.
Switches to short after 10 days if price changes by +0.75% per day.
Switches to short after 9 days if price changes by +0.5% per day.
Switches to short after 8 days if price changes by 0% per day.
Switches to short after 7 days if price changes by -1.0% per day.
Switches to short after 6 days if price changes by -2.0% per day.
Chart:

Sharpe ratios:

	simple 1 7	simple 2 3	simple 91 234
Last 5 years	2.197662	1.460847	-0.076433
Last 4 years	2.641056	1.659705	-0.080968
Last 3 years	1.870230	1.549832	-0.128819
Last 2 years	1.590054	2.395017	-0.077136
Last 1 year	1.139514	2.071020	6.576157